Such holes are formed when the water temperature in the clouds is below freezing but the water has not frozen yet due to the lack of ice nucleation (see supercooled water). When ice crystals do form it will set off a domino effect, due to the Bergeron process, causing the water droplets around the crystals to evaporate: this leaves a large, often circular, hole in the cloud.

Not unsurprisingly, Fallstreak Holes are one of the most common cloud-related events reported as UFOs. (via This Isn’t Happiness)